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The Condor Index $CNDR (Preview)

By Lawrence G. McMillan

The CBOE recently listed a Condor Index (symbol $CNDR).  It is a benchmark index designed to track the performance of a hypothetical option trading strategy that sells a rolling condor spread.  The index uses $SPX options, which settle for cash on a monthly basis (“a.m.” settlement).   The hypothetical spread is rolled monthly.

General Condor Spread Definition

A condor spread consists of a put bull spread and a call bear spread, with all options generally quite far out-of-the-money (OTM) to begin with.  Since both a put bull spread and a call bear spread are credit spreads, the condor is established for a credit.  Ideally, all the options will expire worthless and the profit will equal the initial credit.

Alternatively, the spread can be viewed in another way:

Sell a strangle with OTM strikes, and then buy a strangle in the same month with even further OTM strikes.  Both definitions (two credit spreads or two strangles) are exactly the same position.

Example: with $SPX at 2150, consider the following options, and the condor that can be established...

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